Testing for jumps in a discretely observed process

DOI10.1214/07-AOS568zbMath1155.62057arXiv0903.0226MaRDI QIDQ1002155

Publication date: 25 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.0226

zbMATH Keywords

discrete sampling high-frequency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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